Portable Alpha: A Solution with Many Applications
| Jul 26th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation | By: Alpha Male |
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By: Alfredo Larrea & Rob Kinsey, ING Investments
Published: January 2006
Excerpt:
“Recently, a major international client of our parent company came to us with a dilemma: how to create alpha in an alphaconstrained world. Alpha is broadly defined as the excess returns of a manager or portfolio over a specific benchmark or index, and our client required a fixed income investment strategy that exceeded the three-month LIBOR rate. Furthermore, the strategy had to comply with a number of restrictions such as an A- minimum credit rating and controlled target duration band.”
